A new test procedure for the choice of dependence structure in risk measurement: application to the US and UK stock market indices
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DOI: 10.1080/00036846.2015.1100257
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References listed on IDEAS
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- Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
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